Same here...this is EXACTLY what is happening to my phone. I have tried everything you have tried and saved my scene, rebooted and my choosen background is there after I reboot..however when I change wallpaper again it goes back to the same old htc rainbow bubble wallpaper until I reboot again. I have changed my battery, changed scenes back to the default scenes, deleted apps that I thought may be causing the problem, virus scanned my phone and it came back clean...NOTHING I have tried is working..I am so frustrated.